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Report NEP-MST-2017-11-19
This is the archive for NEP-MST, a report on new working papers in the area of Market Microstructure. Thanos Verousis issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-MST
The following items were announced in this report:
- Stübinger, Johannes & Walter, Dominik & Knoll, Julian, 2017, "Financial market predictions with Factorization Machines: Trading the opening hour based on overnight social media data," FAU Discussion Papers in Economics, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, number 19/2017.
- Giovanni Cespa & Xavier Vives, 2016, "Market Transparency and Fragility," CESifo Working Paper Series, CESifo, number 6279.
- Peress, Joël & Schmidt, Daniel, 2017, "Noise Traders Incarnate: Describing a Realistic Noise Trading Process," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 12434, Nov.
- Zhepeng Hu & Mindy Mallory & Teresa Serra & Philip Garcia, 2017, "Measuring Price Discovery between Nearby and Deferred Contracts in Storable and Non-Storable Commodity Futures Markets," Papers, arXiv.org, number 1711.03506, Nov.
- Margarida Abreu, 2017, "How Biased is the Behavior of the Individual Investor in Warrants?," Working Papers REM, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa, number 2017/07, Oct.
- Fry, John & Serbera, Jean-Philippe, 2017, "Modelling and mitigation of Flash Crashes," MPRA Paper, University Library of Munich, Germany, number 82457, Sep.
- Martin Magris & Jiyeong Kim & Esa Rasanen & Juho Kanniainen, 2017, "Long-range Auto-correlations in Limit Order Book Markets: Inter- and Cross-event Analysis," Papers, arXiv.org, number 1711.03534, Nov.